2013, 3(4): 601-614. doi: 10.3934/naco.2013.3.601

A full Nesterov-Todd step infeasible interior-point algorithm for symmetric optimization based on a specific kernel function

1. 

Department of Mathematics, Tabriz University Tabriz

Received  November 2011 Revised  June 2013 Published  October 2013

We present a full Nesterov-Todd step infeasible interior-point algorithm based on a kernel function. Each main iteration of the algorithm consists of a feasibility step and some centering steps. We introduce a kernel function in the algorithm to induce the feasibility step. The iteration bound coincides with the best iteration bound for infeasible interior-point methods, that is, $O(r\log\frac{r}{\epsilon})$, where $r$ is the rank of Euclidean Jordan algebra.
Citation: Behrouz Kheirfam. A full Nesterov-Todd step infeasible interior-point algorithm for symmetric optimization based on a specific kernel function. Numerical Algebra, Control & Optimization, 2013, 3 (4) : 601-614. doi: 10.3934/naco.2013.3.601
References:
[1]

J. Faraut and A. Korányi, "Analysis on Symmetric Cones,", Oxford Mathematical Monographs, (1994).

[2]

L. Faybusovich, Linear systems in Jordan algebras and primal-dual interior-point algorithms,, J. Comput. Appl. Math., 86 (1997), 149. doi: 10.1016/S0377-0427(97)00153-2.

[3]

L. Faybusovich, A Jordan-algebraic approach to potential-reduction algorithms,, Mathematicsche Zeitschrift, 239 (2002), 117. doi: 10.1007/s002090100286.

[4]

G. Gu, M. Zangiabadi and C. Roos, Full Nesterov-Todd step infeasible interior-point method for symmetric optimization,, European J. Oper. Res., 214 (2011), 473. doi: 10.1016/j.ejor.2011.02.022.

[5]

B. Kheirfam, A full NT-step infeasible interior-point algorithm for semidefinite optimization based on a self-regular proximity,, ANZIAM J., 53 (2011), 48. doi: 10.1017/S144618111200003X.

[6]

B. Kheirfam, Simplified infeasible interior-point algorithm for SDO using full Nesterov-Todd step,, Numer. Algorithms, 59 (2012), 589. doi: 10.1007/s11075-011-9506-1.

[7]

Z. Liu and W. Sun, A full-NT-step infeasible interior-point algorithm for SDP based on kernel functions,, Appl. Math. Comput., 27 (2011), 4990. doi: 10.1016/j.amc.2010.11.049.

[8]

Z. Liu, W. Sun and F. Tian, A full-Newton step infeasible interior-point algorithm for linear programming based on a kernel function,, Appl. Math. Optim., 60 (2009), 237. doi: 10.1007/s00245-009-9069-x.

[9]

R. D. C. Monteiro and Y. Zhang, A unified analysis for a class of path-following primal-dual interior-point algorithms for semidefinite programming,, Math. Program., 8 (1998), 281. doi: 10.1007/BF01580085.

[10]

Y. E. Nesterov and A. S. Nemirovskii, "Interior Point Polynomial Algorithms in Convex Programming,", SIAM Stud. Appl. Math., 13 (1994). doi: 10.1137/1.9781611970791.

[11]

Y. E. Nesterov and M. J. Todd, Self-scaled barriers and interior-point methods for convex programming,, Math. Oper. Res., 22 (1997), 1. doi: 10.1287/moor.22.1.1.

[12]

J. Peng, C. Roos and T. Terlaky, Self-regular functions and new search directions for linear and semidefinite optimization,, Math. Program., 93 (2002), 129. doi: 10.1007/s101070200296.

[13]

B. K. Rangarajan, Polynomial convergence of infeasible interior-point methods over symmetric cones,, SIAM J. Optim., 16 (2006), 1211. doi: 10.1137/040606557.

[14]

C. Roos, A full-Newton step O(n) infeasible interior-point algorithm for linear optimization,, SIAM J. Optim., 16 (2006), 1110. doi: 10.1137/050623917.

[15]

S. H. Schmieta and F. Alizadeh, Extension of primal-dual interior-point algorithm to symmetric cones,, Math. Program., 96 (2003), 409. doi: 10.1007/s10107-003-0380-z.

[16]

J. F. Sturm, Similarity and other spectral relations for symmetric cones,, Algebra Appl., 312 (2000), 135. doi: 10.1016/S0024-3795(00)00096-3.

[17]

T. Tsuchiya, A convergence analysis of the scaling- invariant primal-dual path-following algorithms for second-order cone programming,, Optim. Methods Sofw., 11-12 (1999), 11. doi: 10.1080/10556789908805750.

[18]

M. V. C. Vieira, "Jordan Algebraic Approach to Symmetric Optimization,", Ph.D thesis, (2007).

show all references

References:
[1]

J. Faraut and A. Korányi, "Analysis on Symmetric Cones,", Oxford Mathematical Monographs, (1994).

[2]

L. Faybusovich, Linear systems in Jordan algebras and primal-dual interior-point algorithms,, J. Comput. Appl. Math., 86 (1997), 149. doi: 10.1016/S0377-0427(97)00153-2.

[3]

L. Faybusovich, A Jordan-algebraic approach to potential-reduction algorithms,, Mathematicsche Zeitschrift, 239 (2002), 117. doi: 10.1007/s002090100286.

[4]

G. Gu, M. Zangiabadi and C. Roos, Full Nesterov-Todd step infeasible interior-point method for symmetric optimization,, European J. Oper. Res., 214 (2011), 473. doi: 10.1016/j.ejor.2011.02.022.

[5]

B. Kheirfam, A full NT-step infeasible interior-point algorithm for semidefinite optimization based on a self-regular proximity,, ANZIAM J., 53 (2011), 48. doi: 10.1017/S144618111200003X.

[6]

B. Kheirfam, Simplified infeasible interior-point algorithm for SDO using full Nesterov-Todd step,, Numer. Algorithms, 59 (2012), 589. doi: 10.1007/s11075-011-9506-1.

[7]

Z. Liu and W. Sun, A full-NT-step infeasible interior-point algorithm for SDP based on kernel functions,, Appl. Math. Comput., 27 (2011), 4990. doi: 10.1016/j.amc.2010.11.049.

[8]

Z. Liu, W. Sun and F. Tian, A full-Newton step infeasible interior-point algorithm for linear programming based on a kernel function,, Appl. Math. Optim., 60 (2009), 237. doi: 10.1007/s00245-009-9069-x.

[9]

R. D. C. Monteiro and Y. Zhang, A unified analysis for a class of path-following primal-dual interior-point algorithms for semidefinite programming,, Math. Program., 8 (1998), 281. doi: 10.1007/BF01580085.

[10]

Y. E. Nesterov and A. S. Nemirovskii, "Interior Point Polynomial Algorithms in Convex Programming,", SIAM Stud. Appl. Math., 13 (1994). doi: 10.1137/1.9781611970791.

[11]

Y. E. Nesterov and M. J. Todd, Self-scaled barriers and interior-point methods for convex programming,, Math. Oper. Res., 22 (1997), 1. doi: 10.1287/moor.22.1.1.

[12]

J. Peng, C. Roos and T. Terlaky, Self-regular functions and new search directions for linear and semidefinite optimization,, Math. Program., 93 (2002), 129. doi: 10.1007/s101070200296.

[13]

B. K. Rangarajan, Polynomial convergence of infeasible interior-point methods over symmetric cones,, SIAM J. Optim., 16 (2006), 1211. doi: 10.1137/040606557.

[14]

C. Roos, A full-Newton step O(n) infeasible interior-point algorithm for linear optimization,, SIAM J. Optim., 16 (2006), 1110. doi: 10.1137/050623917.

[15]

S. H. Schmieta and F. Alizadeh, Extension of primal-dual interior-point algorithm to symmetric cones,, Math. Program., 96 (2003), 409. doi: 10.1007/s10107-003-0380-z.

[16]

J. F. Sturm, Similarity and other spectral relations for symmetric cones,, Algebra Appl., 312 (2000), 135. doi: 10.1016/S0024-3795(00)00096-3.

[17]

T. Tsuchiya, A convergence analysis of the scaling- invariant primal-dual path-following algorithms for second-order cone programming,, Optim. Methods Sofw., 11-12 (1999), 11. doi: 10.1080/10556789908805750.

[18]

M. V. C. Vieira, "Jordan Algebraic Approach to Symmetric Optimization,", Ph.D thesis, (2007).

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